Extrude along path crossing planes
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The reason you see what you do is because of the size of the shape that you are extruding along the path and the radius of the curve in the path.

When you extrude something around a curve, there is a maximum size shape you can extrude before nasty intersections occur. The maximum size shape you can use will have a radius that is the same size as the radius of the curve in the path.

What I'm trying to say is that you can't get a nice, smooth curve when using an object that big and a curve in the path that tight.

You have a few options though. You can change the curve in the path to make it less sharp, or make the profile you are extruding smaller, but I'm guessing that's not what you want. You can try selecting some of the nasty faces and using the Smooth Tool (can be found by pressing W) or using the smooth brush in sculpt mode.

My suggestion would be to use a lot less extrusions along your path, then use the subdivision surface modifier to smooth it all out. That way you have a lot less vertices to get bunched up in the corners and you can easily edit them all manually to make it look better (by moving them individually in edit mode or smoothing them with one of the options above). Also since you are going to be using this for a game you want to use as few vertices as possible to make it run faster.